数学杂志2008，Vol.28Issue(4)：355-361,7.
分数布朗运动随机微分方程的MLE和Bayes估计的大偏差不等式
LARGE DEVIATION INEQUALITIES FOR MLE AND BAYES ESTIMATOR IN SDE WITH FRACTIONAL BROWNIAN MOTION
苗雨 1王继霞2
作者信息
- 1. 河南师范大学数学与信息科学学院,河南,新乡,453007
- 2. 武汉大学数学与统计学院,湖北,武汉,430072
- 折叠
摘要
Abstract
In the paper, we study the deviation inequalities for the maximum likelihood estimator (MLE) and Bayes estimator (BE) of the unknown parameter in stochastic differential equation with fractional Brownian motion. The large deviation inequalities of the two estimators are btained by using likelihood theory under some regular conditions.关键词
极大似然估计/Bayes估计/随机微分方程/分数布朗运动/大偏差不等式Key words
Maximum likelihood estimator/Bayes estimator/stochastic differential equation/fractional Brownian motion/large deviation inequality分类
数理科学引用本文复制引用
苗雨,王继霞..分数布朗运动随机微分方程的MLE和Bayes估计的大偏差不等式[J].数学杂志,2008,28(4):355-361,7.
